FROM: James D. Herberg, General Manager
Originator: Lorenzo Tyner, Assistant General Manager
SUBJECT:
title
TREASURER’S REPORT FOR THE FOURTH QUARTER ENDED JUNE 30, 2019
end
GENERAL MANAGER'S RECOMMENDATION
recommendation
RECOMMENDATION:
Receive and file the Orange County Sanitation District Fourth Quarter Treasurer’s Report for the period ended June 30, 2019.
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BACKGROUND
The Quarterly Treasurer’s Report contains financial portfolio performance with respect to the Orange County Sanitation District’s (Sanitation District) funds. Both Long-Term and Liquid Operating Monies Portfolios are summarized. A performance summary table can be found on page 2 of this section. The report also contains information on the U.S. and global economic outlook from the Sanitation District’s investment manager, Chandler Asset Management.
Quarterly Treasurer’s Reports are customarily presented first to the Administration Committee prior to being placed on the Board agenda. However, as the Administration Committee is not scheduled in August, the Sanitation District’s practice has been to present the Fourth Quarter Treasurer’s Report directly to the Board.
RELEVANT STANDARDS
• Quarterly financial reporting
ADDITIONAL INFORMATION
The Quarterly Treasurer’s Report for the Fourth Quarter Ended June 30, 2019 is being submitted in accordance with the Sanitation District’s investment policy, which requires the report be submitted to the governing body following the end of each quarter and includes the following information:
• Performance results in comparison with the ICE BAML 3-month treasury bill index for the liquid operating portfolio; and the ICE BAML Corp./Govt. 1-5 Year Bond index for the long-term portfolio as identified in the investment policy; and the time-weighted total rate of return for the portfolio for the prior three months, six months, nine months, twelve months, and since inception compared to the Benchmark returns for the same periods:
|
Portfolio Performance Summary Quarter Ended June 30, 2019 |
|
|
Liquid Operating Monies (%) |
Long-Term Operating Monies (%) |
|
|
Total Rate of Return |
Benchmark |
Total Rate of Return |
Benchmark |
|
3 Months |
0.69 |
0.64 |
1.70 |
1.85 |
|
6 Months |
1.32 |
1.24 |
3.23 |
3.30 |
|
9 Months |
1.90 |
1.81 |
4.60 |
4.92 |
|
12 Months |
2.43 |
2.31 |
4.87 |
5.13 |
|
Annualized Since inception 30 Nov 2014 |
1.05 |
0.95 |
1.74 |
1.71 |
• A listing of individual securities held at the end of each reporting period (see the detailed listings of each security contained within the report).
• Cost and market values of the portfolios:
Liquid Oper. Long-Term
Cost $163.1 M $547.6 M
Market Value $164.5 M $558.1 M
• Modified duration of the portfolio compared to Benchmark:
Liquid Oper. Long-Term
District Policy < 0.50 < 5.00
Benchmark 0.24 2.43
Portfolio 0.16 2.54
• Dollar change in value of the portfolio for a one-percent (1%) change in interest rates:
Liquid Operating - $388,145
Long-Term - $13,540,487
• None of the portfolios are currently invested in reverse repurchase agreements.
• The percent of the Liquid Operating Monies portfolio maturing within 90 days:
59.3%
• Average portfolio credit quality:
Liquid Operating - AA+/Aaa
Long-Term - AA/Aa1
• Percent of portfolio with credit ratings below "A" by any rating agency, and a description of such securities:
Liquid Portfolio - no exceptions
Long-Term Portfolio - Percent of portfolio - 0.56%
|
|
Cost |
Maturity Date |
Moody |
S&P |
Fitch |
|
SLMA 2008-9 A |
$ 13,957.68 |
4/25/2023 |
Baa3 |
A |
B |
|
AMRESCO Residential Securities 1999-1 |
$ 100,432.85 |
6/25/2029 |
Not Rated |
A+ |
BBB |
|
Morgan Stanley Note |
$3,200,848.00 |
7/28/2021 |
A3 |
BBB+ |
A |
• All investments are in compliance with this policy and the California Government Code, except for the following Lehman Brother holdings that the Sanitation District is pursuing collection through the bankruptcy court:
Lehman Brothers Note-Defaulted $ 600,000 par value purchased 9/19/2008
Lehman Brothers Note-Defaulted $2,000,000 par value purchased 9/18/2008
Sufficient funds are available for the Sanitation District to meet its operating expenditure requirements for the next six months.
CEQA
N/A
FINANCIAL CONSIDERATIONS
N/A
ATTACHMENT
The following attachment(s) may be viewed on-line at the OCSD website (www.ocsd.com) with the complete agenda package:
• Fourth Quarter Treasurer’s Report for the Three Months Ended June 30, 2019